Weekly maintenance every saturday 03:00 - 06:00 UTC

Welcome to Asset master website, a fast, reliable, affordable portfolio optimization website!

The following features supported at the moment:

Stock data timeframe (period): Daily. Why is this essential?

Ability to choose the time horizon for optimization / statistics calculation

View the expected return / volatility for all stocks included in the list for optimization.

Save/Load the portfolio settings to/from a file.

Export optimization report to XLSX.

Expected returns calculation:

- Mean historical return.
- Exponentially weighted mean historical return.
- CAPM estimate of returns.

Covariance matrix calculation:

- Fix non-positive semidefinite matrices.
- Sample covariance.
- Semicovariance.
- Exponentially weighted covariance.
- Shrunk covariance matrices:
- manual shrinkage
- Ledoit Wolf shrinkage
- Oracle Approximating shrinkage

- Black-Litterman allocation.

The optimization methods:

Mean-Variance optimization.

- minimum of volatility
- maximum of Sharpe ratio
- maximum of the quadratic utility, given some risk aversion
- maximum of return for a given target risk
- minimum of risk for a given target return


Semivariance optimization.

- minimum of semivariance
- maximum of the quadratic utility, given some risk aversion
- maximum of return for a given target risk

CVaR and CDaR optimization.

- minimum of CVaR or CDaR
- maximum of return for a given CVaR or CDaR
- minimum of CVaR or CDaR for a given target return

- All of these methods support L2 regularization also.


To start the portfolio optimization refer to the Quickstart page.

If you have a questions or bug reports, feel free to contact me either with contact email or redirecting by the link "Ask a question", which is located on the left sidebar (but you should register on github for this).